ty. So, selling 'expensive' 1M upside call options to finance the purchase of longer-dated calls has generally been attractive. Strategies selling 1M SPX calls have not performed recently Looking again at Figure 10 above, strategies selling 1M calls have, not surprisingly, "banked" close to the entir

e prior -50 years. If anything, we tended to see slightly higher occurrences of big 1M rallies in our backtest period. (Figure 14. Distribution of 1M SPX returns 14% 12% 10% 8% 6% "6 4% 2% 0% Jan-1950 to Nov-2002 Dec-2002 to Sep-2013 T • T T ' r y"-T. T-TT '' .4 t * * * * * *

ty. So, selling 'expensive' 1M upside call options to finance the purchase of longer-dated calls has generally been attractive. Strategies selling 1M SPX calls have not performed recently Looking again at Figure 10 above, strategies selling 1M calls have, not surprisingly, "banked" close to the entir